@Sunnybunny – A proxy, or proxy server, is a server in a different country from yours that you point your browser to (everyone’s browser is pointed at a proxy server, a DNS server, and a few other types of servers, that all work together to let you browse the internet, which are usually run by your ISP).
For example, many anti virus suites (such as Norton) will change your proxy server to their server to protect you from visiting malicious sites.
There are parameters deep in the bowels of your browser that let you change what servers you point to. But if you don’t know what you’re doing, be careful about changing them because you can royally eff up your computer.
So if you are, for example, in the USA, and you connect to a proxy server in, for example, the UK, every site you visit thinks you’re in the UK rather than the USA (or visa-versa). This is a common way for techie geeks to get around their country’s particular brand of censorship.